This paper provides new evidence on the dynamics of equity risk premia in euro area stock markets across country and industry portfolios. We develop and estimate a conditional intertemporal CAPM where returns on aggregate euro area, country and industry portfolios depend on the market risk as...

This paper investigates the impact of globalization and integration on the relative benefits of country and industry diversification. Unlike previous models, our factor model allows asset exposures to vary with both structural changes and temporary fluctuations in the economic and financial...

This appendix to Time-Varying Integration and International Diversification Strategies contains additional information on how the data used in this paper is compiled/constructed, on how the optimal structural regime-switching volatility spillover models are selected, and on the derivation of the...

Currency carry trading presents a widespread trading strategy and refers to the forward premium puzzle. Investors borrow low-yielding currencies with the aim to invest in high-yielding ones in order to benefit from arbitrage opportunities. This implies that a one-to-one relationship does not...

This draft is a summary of the paper entitled: Forecasting Fuel Prices with the Chilean Exchange Rate. In that paper we show that the Chilean exchange rate has the ability to predict the returns of oil prices and of three additional oil-related products: gasoline, propane and heating oil. The...

In this study a regime-switching approach is applied to estimate the chartist and fundamentalist (camp;f) exchange rate model originally proposed by Frankel and Froot (1986). The camp;f model is tested against alternative regime-switching specifications applying likelihood ratio tests. Nested...

ABSTRACT:The present paper analyses the relationship between the volume of transactions with futuresequity index products and the return volatility of their underlying assets. The study addressesthe case of five stock markets, members of the Euronext.liffe. We employ a frequency domainanalysis...

This paper analyzes the dynamics and determinants of the relative benefits of geographical and industry diversification over the last 30 years. First, we develop a new structural regimeswitching volatility spillover model to decompose total risk into a systematic and a country (industry)...

This work proposes an approach for estimating value at risk (VaR) of the Mexican stock exchange index (IPC) by using a combination of the autoregressive moving average models (ARMA); three different models of the arch family, one symmetric (GARCH) and two asymmetric (GJR-GARCH and EGARCH); and...

This paper investigates the impact of globalization and integration on the relative benefits of country and industry diversification. Unlike previous models, our factor model allows asset exposures to vary with both structural changes and temporary fluctuations in the economic and financial...